2.3 Product Code - CMAN
CMAN - Cross Currency.
Cross Currency product is parametrized with the following features.
Business Scenario
Mark to Market Swaps without Principal Amortized schedules.
Synopsis (ex. high level features etc.)
- It is a Cross Currency Derivative Instrument.
- Perform Hedge operation of CCS.
- Banks, Dealers and Financial Institutions are the main participants.
- Two legs of the swap are denominated in different currencies.
- Exchange of Principal at the prevailing spot exchange rate with an agreement to reverse the exchange of currencies, at the same spot exchange rate, at a fixed date in the future.
- Interest payments happen on maturity of Swap.
Detailed Coverage
CMAN Derivative Instrument is meant for Cross Currency Swap Trade Deal. Product covers the following features:
Table 2-11 Detailed Coverage
Features | Type |
---|---|
Types of the Deal Covered | Sell Deal |
Types of the Contract Covered | Hedge Deal |
Payment Method Covered | Actual/Actual – Per Annum Basis |
Interest Accrual | Daily Accrual |
Amortization | Amortization of Termination Gain/Loss |
Limit Tracking |
|
Interest Settlement | Interest Settlement |
Termination of Deal | Pre - Termination |
Interest Rate details |
|
Events Covered (including brief information on accounting)
Table 2-12 Events Covered in AFSP
Events Covered | Terminology |
---|---|
DBOK | Derivative Deal Booking |
DINT | Derivative Deal Initiation |
DCON | Derivative Deal Confirmation |
DLIQ | Derivative Deal Liquidation |
DIAC | Derivative Interest Accrual |
DAMN | Derivative Contract Amendment |
DRVS | Derivative Contract Reversal |
DRVN | Derivative Contract Rate Revision |
DTAM | Derivative Contract Termination Amortization |
DTRB | Booking of Termination Date |
DTER | Derivative Contract Termination |
DPLQ | Derivative Principal Liquidation |
Interest/Charges/Commission and Fees
Interest
- DV_INT_IN - Derivative In Leg Interest Component Floating
- DV_INT_OUT1- Derivative Out Leg Interest Component Fixed
Special/Other Features
Brokerage
CMAN product is parametrized to handle Brokerage feature.
Other Features
Apart from the above mentioned features, following features can be parametrized.
Table 2-13 List of Other Features
Features | Parameters |
---|---|
Revaluation |
|
Interest Calculation Basis | Numerator
|
Denominator |
|
Advices Supported
Following Advices setup done in the CMAN Product as part of Product Life Cycle.
Table 2-14 List of Advices
Advices | Description |
---|---|
DV_CCS_TRMN | CCS Termination |
DV_CCS_AMND | CCS Amendment |
DV_CCS_CONF | CCS Contract Confirmation |
DV_ASSIGN_1 | Assignment Adv to Deal Party |
DV_ASSIGN_2 | Assignment Adv to Assigning Party |
Messages
Table 2-15 List of SWIFT Messages
SWIFT Messages | Contract Field |
---|---|
MT 361 | CCS Contract Confirmation |
MT 361 | CCS Amendment |
MT 362 | DV Rate Reset |
MT 365 | CCS Termination |
MT 900 | Debit Message |
MT 910 | Credit Message |
MT 202 | Bank Transfer |
Reports Availability
- Back Dated Contracts Report
- Contract Activity Report
- Contract Revaluation Report
- Deal Cust Detailed Report
- Deal Cust Summary Report
- Exception Report
- Interest Accrual Report
- Settled Contracts Report
Additional information
Other Special Maintenance
- Derivative Branch Parameter
- General Ledger Parameter
- Interest and Charges Parameter
- Journal Entry Parameter
- Messaging Parameter
- Local Holidays
- Derivative Batch Maintenance
- Derivative Type Maintenance
- Master Agreement
- Messaging Party Maintenance
- Limit Processing
- Charge Class
- Tax Scheme Class
Parent topic: Product Catalog - Treasury Derivatives